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This might sound like a rather trivial question but how exactly is the last price in a market (let's assume stocks) quoted? "The last transaction" is not really precise.

Let's assume there is a market with two limit orders with a volume of X each and I have a market order over 2X. I will fill both orders. Is the last price quoted at

  • the time I fill the second order, therefore finish the orderbook transaction for MY order

  • the time the second order gets filled, but the system time for the order before is also giving a last price for the limit price of the first order ?

This becomes a little more complicated once at and other "conditional" orders come into place

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